Publication

This paper examines the predictability of monthly real stock returns in Germany over the period of 1880-1913. The author finds that the extent to which returns were predictable underwent significant changes over time and that predictability was positive most of the time. It tended to be significant during extended periods of stock market decline but not during periods of stock market increase. The author argues that this time pattern of predictability of returns is consistent with feedback effects of futures trading on the spot market.